| Abstract [eng] |
Investment is a use of money or capital in order to maintain or increase their value or generate additional income. This is the only additional source of income, which is not limited. You can invest in stocks, bonds, real estate, real estate, derivatives or other valuable art objects. It doesn‘t matter where to invest, the main objective is to earn more money than it was invested. You don’t have to be a famous scientist to understand that in order to achieve great results you may be exposed to various risks. Last global financial crisis showed that there are gaps in the financial system because risk is not managed effectively [28]. Therefore, millions of investors have to deal with issues every day how to get the highest possible profits and take the lowest risk. It's an ongoing discussion and object of new theories. The market is full of financial instruments which can be used to properly evaluate and manage risk. Risk management problem is important to the majority of investors, therefore in this work we compared coskewness and cokurtosis indicators with traditional risk assessment indicators: CVaR, semi-variance, standard deviation and Sharpe ratio. We compiled ten securities portfolios, which were selected of NASDAQ-traded stocks. Five stocks were selected of thirteen shares each way. In first case, stocks were ranked by kurtosis, skewness and Sharpe ratio. In the second case we ranked stocks by CVaR, semi-variance and Sharpe ratio. After that we found their weights in different ways and finally compared them. We found that coskewness and cokurtosis indicators can be used for portfolio risk measurement. and calculated those indicators for concluded portfolios using “Microsoft Excel” and ’’Matlab” software. Results proved that traditional risk assessment indicators have a better alternative. In order to reduce risk we should apply both traditional and non-traditional indicators: coskewness and cokurtosis. Another important observation is that portfolios created using Markovitch method to determine weights is more effective than portfolios created using the same weights or by optimizing coskewness and cokurtosis indicators. The aim of this work is to compare effectiveness of the portfolios of stocks selected in different ways when different weights distribution methods are used. Objectives: • Identify coskewness and cokurtosis application for portfolio risk measurement; • create portfolios of stocks listed on NASDAQ; • calculate coskewness and cokurtosis indicators for concluded portfolios using “Microsoft Excel” and “Matlab” software; • create portfolios for comparison taking into account other risk assessment indicators. |
